Foreign exchange, fractional cointegration and the implied–realized volatility relation

Foreign Exchange, Fractional Cointegration and the Implied-Realized Volatility Relation

10.2139/ssrn.968195 ◽

2007 ◽

Cited By ~ 1

Author(s):

Neil Kellard ◽

Christian Dunis ◽

Nicholas Sarantis

Keyword(s):

Foreign Exchange ◽

Realized Volatility ◽

The Role of Implied Volatility in Forecasting Future Realized Volatility and Jumps in Foreign Exchange, Stock, and Bond Markets

10.2139/ssrn.1148738 ◽

2007 ◽

Cited By ~ 27

Author(s):

Thomas Busch ◽

Bent Jesper Christensen ◽

Morten Ørregaard Nielsen

Keyword(s):

Foreign Exchange ◽

Implied Volatility ◽

Realized Volatility ◽

Bond Markets ◽

Future Realized Volatility

Intraday patterns in foreign exchange returns and realized volatility

Finance Research Letters ◽

10.1016/j.frl.2018.02.017 ◽

2018 ◽

Vol 27 ◽

pp. 99-104 ◽

Cited By ~ 1

Author(s):

Hao Zhang

Keyword(s):

Foreign Exchange ◽

Realized Volatility ◽

Intraday Patterns

Local Whittle Analysis of Stationary Fractional Cointegration and the Implied–Realized Volatility Relation

Journal of Business and Economic Statistics ◽

10.1198/073500106000000314 ◽

2007 ◽

Vol 25 (4) ◽

pp. 427-446 ◽

Cited By ~ 22

Author(s):

Morten Ørregaard Nielsen

Keyword(s):

Realized Volatility ◽

/// (Realized Volatility in Seoul Foreign Exchange Market)

10.2139/ssrn.3079237 ◽

2004 ◽

Author(s):

Chae-Shick Chung ◽

Sangyong Joo ◽

Seung Moon Lee

Keyword(s):

Foreign Exchange ◽

Foreign Exchange Market ◽

Realized Volatility ◽

Exchange Market

Sovereign rating changes and realized volatility in Asian foreign exchange markets during the Asian crisis

Applied Financial Economics ◽

10.1080/09603107.2011.554367 ◽

2011 ◽

Vol 21 (13) ◽

pp. 997-1003 ◽

Cited By ~ 4

Author(s):

Emawtee Bissoondoyal-Bheenick ◽

Robert Brooks ◽

Samantha Hum ◽

Sirimon Treepongkaruna

Keyword(s):

Foreign Exchange ◽

Realized Volatility ◽

Asian Crisis ◽

Foreign Exchange Markets ◽

Exchange Markets ◽

Rating Changes

The role of implied volatility in forecasting future realized volatility and jumps in foreign exchange, stock, and bond markets

Journal of Econometrics ◽

10.1016/j.jeconom.2010.03.014 ◽

2011 ◽

Vol 160 (1) ◽

pp. 48-57 ◽

Cited By ~ 133

Author(s):

Thomas Busch ◽

Bent Jesper Christensen ◽

Morten Ørregaard Nielsen

Keyword(s):

Foreign Exchange ◽

Implied Volatility ◽

Realized Volatility ◽

Bond Markets ◽

Future Realized Volatility

Japanese foreign exchange intervention and the yen-to-dollar exchange rate: A simultaneous equations approach using realized volatility

Journal of International Financial Markets Institutions and Money ◽

10.1016/j.intfin.2008.06.002 ◽

2009 ◽

Vol 19 (3) ◽

pp. 490-505 ◽

Cited By ~ 13

Author(s):

Eric Hillebrand ◽

Gunther Schnabl ◽

Yasemin Ulu

Keyword(s):

Exchange Rate ◽

Foreign Exchange ◽

Realized Volatility ◽

Simultaneous Equations ◽

Dollar Exchange Rate ◽

Foreign Exchange Intervention

Semiparametric Analysis of Stationary Fractional Cointegration and the Implied-Realized Volatility Relation

10.2139/ssrn.279883 ◽

2001 ◽

Cited By ~ 4

Author(s):

Bent Jesper Christensen ◽

Morten Ørregaard Nielsen

Keyword(s):

Realized Volatility ◽

Fractional Cointegration ◽

Semiparametric Analysis

Explaining Bias in the Foreign Exchange Market: The Case of Traded Volatility and Fractional Cointegration

10.2139/ssrn.496662 ◽

2004 ◽

Author(s):

Neil Kellard ◽

Nicholas Sarantis

Keyword(s):

Foreign Exchange ◽

Foreign Exchange Market ◽

Exchange Market ◽